阈值策略最优性的替代方法 谱负Levy过程

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摘要翻译：
考虑一个保险公司的最优股利问题，其不受控制的盈余过程演化为一个谱负利税过程。我们假设股利是按照股利率为常数的可容许策略支付给股东的。目标是寻找一个股利政策，使股利的预期折现值最大化，直到公司破产为止。Kyprianou,Loeffen和Perez[28]已经证明，在Levy测度具有完全单调密度的条件下，折射策略（也称为阈值策略）形成最优策略。在本文中，我们提出了一个替代的方法来解决这个最优问题。
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英文标题：
《Alternative approach to the optimality of the threshold strategy for
  spectrally negative Levy processes》
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作者：
Ying Shen, Chuancun Yin, Kam Chuen Yuen
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Levy process. We assume that dividends are paid to the shareholders according to admissible strategies whose dividend rate is bounded by a constant. The objective is to find a dividend policy so as to maximize the expected discounted value of dividends which are paid to the shareholders until the company is ruined. Kyprianou, Loeffen and Perez [28] have shown that a refraction strategy (also called threshold strategy) forms an optimal strategy under the condition that the Levy measure has a completely monotone density. In this paper, we propose an alternative approach to this optimal problem.
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PDF链接：
https://arxiv.org/pdf/1101.0446

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关键词：Levy Shareholders Quantitative Differential Applications 演化 Perez optimal 保险公司 现值